4. Monthly Portfolio NAVsfor each of the three sample portfolios, with a performance summary at the end.

The daily trading Order sheets are the same format for all three sample portfolios, as are the Monthly Portfolio NAVs. Only one sample will be shown below.

Trend Futures All Orders Report (Daily)

In the All Ordersreport below, only the first three groups of markets are shown. All profits and losses are converted to U.S. dollars using the spot price shown in the column FX Price. The delivery month is shown as 201312 for the Dec13 contract. Note that the date of the last price is shown in column 3 (Last Data) because international markets may have holidays at different times. The All Years I-Ratio is the information ratio (annualized return/annualized risk) calculated over the entire life of the data. It will help you select those markets that have a better long-term history of performance if you are building your own portfolio.

Markets are grouped by sectors as they are handled by the sample portfolios. This will make it easier for you to create your own portfolios from the spreadsheets shown farther down. The sectors are short-term interest rates, bonds, equity index (U.S.-Europe and Other), currencies, energy, metals, and agricultural products (Ags). Both long and short positions are shown and both are used in the portfolios. Position size (Qty) has two decimal places to allow scaling up.

Although there are no new orders in this example, we might see either a buy or sell at the far right of the first line, the 2-year Note. A new buy would indicate that we were adding to the long position because the trend was strengthening. A sell order could be reducing the current position, closing it out entirely, or reversing from long to short. The delivery month column (Del Mo) will have a star (*) following the month when the position is rolled into the next delivery.

Trend Order Sheet for Futures, Portfolio of $500K

There are three different portfolios produced for the Trend futures program, $250K, $500K, and $1 million. All have the same format. Each has a target volatility of 14%, that is, there is a 16% chance of losing more than 14% in any one year. The 14% is approximately the average volatility of all Managed Futures programs. This generally uses about 25% of the investment for margin, giving an effective leverage of about 12:1.

Signals appear by group, with rates first, then equity index, FX, energy, metals, and ags, if those groups are included. For the specific portfolios, see the detailed description under the tab for this program.

The $250K portfolio trades only U.S. and European futures markets. The larger $500K and $1M portfolios trade all global markets. The largest portfolio may hold up to 25 of the 65 markets tracked, and each smaller portfolio will have fewer markets. The amounts will vary based on the need for diversification and the current market volatility. The program restricts the number of markets that can be selected from any one sector.

In the sample below for the $500K account, there are 13 combinations of positions and orders. On his day the program is showing a reduced position size (the orders to reduce were generated the day before) due to an increase in overall market volatility. The position sizes have been volatility-adjusted to have the same risk and maximize diversification. The initial position size is determined by the 20-day volatility of the market price, then adjusted to balance with other markets within the portfolio. The size that appears in the portfolio should represent relatively equal risk for each market. The sector risk has also been equalized, and the overall portfolio has been scaled to our target of 14% volatility.

In addition to reducing position size, two markets we closed out, heating oil and platinum.

The far right column gives the suggested execution time for the order. Due to the change from open outcry to electronic trading, there is no longer a morning open. Most market open 30 minutes to 60 minutes after the official close at about 4 pm New York time. Experience shows that executing at about the same time as the old opening price produces a better return. That's when volume increases and before any U.S. economic reports are released. The profits and losses posted on the report will reflect entries and exits taken on the close of trading, so any improvement over the close will go to your bottom line.

Sample Portfolio NAVs with Summary Statistics

There are three Portfolio NAVfiles, one for each of the $100K, $500K, and $1 million accounts. These have more than 20 years of data and are tracked daily and updated monthly. They can be used to analyze risk or combine with other portfolios. The following is a sample of the last few days in the spreadsheet for the $500K investment. A summary of performance for various time intervals appears at the bottom.

All Markets Cumulative Profit/Loss Table (Updated Monthly)

We provide a history of the sample portfolio performance by market. These numbers are cumulative profits and losses because we cannot assign the same investment size for each market and have the volatility of performance consistent. In addition, using back-adjusted data may result in some older price going negative, which makes percentage calculations impossible. Because each trade in each market has the same volatility at entry, the P/L's can easily be used to construct your own portfolio. The table below shows the individual cumulative profits of some of the interest rate markets during a recent period. This is an csv file that can be loaded by Excel and manipulated. For more information, see the article on this website Constructing Your Own Portfolios.

Disclaimers

Each of the reports has the following Disclaimers:

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